统计研究 ›› 2005, Vol. 22 ›› Issue (7): 71-4.

• 论文 • 上一篇    下一篇

交易机制与短期收益的波动

汤光华; 周伟   

  1. 中山大学管理学院; 广东省交通集团
  • 收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2005-07-15 发布日期:2005-07-15

  • Received:1900-01-01 Revised:1900-01-01 Online:2005-07-15 Published:2005-07-15

关键词: 交易机制, 收益, 波动

Abstract: Based on the time-adjusted returns, we empirically study the effects of both call action s and continuous action s exchange regulations on the volatility of short-term returns in the Shanghai Stock Exchange. We find that open-open returns exhibit more volatility than close-close returns, and trading period returns are more volatile than non-trading period returns. The previous close price has more relationship to the next open price than the open price to the close price in the same day. The close-close return conforms with partial adjustment hypothesis.